宏观因素对银行间债券市场和交易所债券市场的影响分析

发布时间：2018-01-09 05:11

本文关键词：宏观因素对银行间债券市场和交易所债券市场的影响分析　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：近几年来,我国债券市场快速发展,债券市场在市场规模、市场品种、机制创新、制度完善等方面取得了很多进展,债券市场的快速发展为市场提供了更多的融资渠道,也为金融市场的产品多元化做出贡献。我国债券市场的一大特征是债券交易市场分割为银行间债券市场和交易所债券市场。由于参与主体、交易机制等方面的不同,银行间债券市场与交易所债券市场在很多方面都有明显差异,而目前国内学者对两市场的研究主要集中在两个交易市场的分割性、差异性和波动溢出效应问题,而对两市场对于宏观经济变量的敏感度是否存在差异这一问题很少有学者进行研究。研究银行间债券市场和交易所债券市场的宏观影响因素,有助于深入理解宏观经济因素对我国债券体系的影响机制,并且能够为各类金融机构投资者和企业个人投资者提供有价值的判断依据,在一定程度上可以使投资者根据宏观经济变化对债券市场走势进行预测；另一方面,对银行间债券市场和交易所债券市场的差异分析,有助于深入了解两市场不同交易主体的交易特点和风险偏好,对金融市场研究具有一定意义。本文采用定性和定量相结合的方法,对银行间债券市场和交易所债券市场进行研究。第一部分为文章的绪论,主要介绍了本文的研究背景及意义、研究思路和国内外研究现状；第二部分介绍中国债券市场的发展历史和框架,定性地分析银行间债券市场和交易所债券市场的差异；第三部分主要介绍实证分析当中所涉及变量的计算方法和样本区间,并对变量进行初步分析；第四部分采用多元线性回归模型对银行间债券市场和交易所债券市场的宏观影响因素进行分析；第五部分中主要采用向量自回归模型、脉冲响应分析和方差分析等方法对银行间债券市场和交易所债券市场受宏观经济变量冲击后的表现进行分析；文章最后,我们对全文的实证结果进行总结,基于分析结论对我国债券市场提出合理的发展建议。我们认为,宏观经济因素对银行间债券市场和交易所债券市场的影响基本一致,但两者也存在一些区别：首先,交易所国债收益率对一些宏观经济因素更为敏感。譬如,上证综指的变动对交易所债券市场的影响更为强烈。其次,交易所债券市场受宏观经济影响更大,宏观经济因素对交易所债券指数收益率的解释能力更强。另外,交易所债券市场对宏观经济因素变动的反应更快、更强烈,但是持续时间不如银行间债券市场的反应时间长。
[Abstract]:In recent years, China's bond market has developed rapidly. The bond market has made a lot of progress in market size, market variety, mechanism innovation, system improvement and so on. The rapid development of bond market provides more financing channels for the market. It also contributes to the diversification of financial market. One of the characteristics of China's bond market is that the bond trading market is divided into interbank bond market and exchange bond market. There are obvious differences between the interbank bond market and the exchange bond market in many aspects, but at present, the research of the two markets is mainly focused on the segmentation of the two markets. Differences and volatility spillover effects. However, there are few scholars to study whether there are differences in the sensitivity of the two markets to the macroeconomic variables, and to study the macro factors of the interbank bond market and the exchange bond market. It is helpful to understand the influence mechanism of macroeconomic factors on China's bond system, and to provide valuable basis for all kinds of financial institutional investors and individual investors of enterprises. To some extent, investors can forecast the trend of bond market according to the macroeconomic changes; On the other hand, the analysis of the differences between the interbank bond market and the exchange bond market is helpful to understand the trading characteristics and risk preference of different trading bodies in the two markets. This paper uses qualitative and quantitative methods to study the interbank bond market and the exchange bond market. The first part is the introduction of the article. This paper mainly introduces the research background and significance, research ideas and research status at home and abroad; The second part introduces the development history and framework of China's bond market and qualitatively analyzes the differences between the interbank bond market and the exchange bond market. The third part mainly introduces the calculation method and sample interval of the variables involved in the empirical analysis, and carries on the preliminary analysis to the variables; In the 4th part, we analyze the macro factors of the interbank bond market and the exchange bond market by using the multiple linear regression model. In the 5th part, vector autoregressive model, impulse response analysis and variance analysis are used to analyze the performance of interbank bond market and exchange bond market under the impact of macroeconomic variables. Finally, we summarize the empirical results of the full text, based on the conclusions of the analysis of the bond market in China to put forward reasonable development recommendations. Macroeconomic factors affect the interbank bond market and the exchange bond market in general, but there are some differences. First, the yield of exchange bonds is more sensitive to some macroeconomic factors. For example. The changes in the Shanghai Composite Index have a stronger impact on the exchange bond market. Secondly, the exchange bond market is more affected by the macro economy. The macroeconomic factors explain the exchange bond index yield more strongly. In addition, the exchange bond market responds more quickly and strongly to the change of macroeconomic factors. But the duration is not as long as the reaction time of the interbank bond market.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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